CFA一级百题进阶：其他.doc

9. Alternative Q-1. An investor is seeking an investment that can take long and short positions, may use multi-strategies, and historically exhibits low correlation with a traditional investment Portfolio. The investor’s goals will be best satisfied with an investment in: A. real estate. B. a hedge fund. C. a private equity fund. Solution: B. Hedge funds may use a variety of strategies (event-driven, relative value, macro and equity hedge), generally have a low correlation with traditional investments, and may take long and short positions. 1-6 Q-2. If a commodity’s forward curve is in contango, the component of a commodities futures return most likely to reflect this is: A. spot prices. B. the roll yield. C. the collateral yield. Solution: B. Roll yield refers to the difference between the spot price of a commodity and the price specified by its futures contract (or the difference between two futures contracts with different expiration dates). When futures prices are higher than the spot price, the commodity forward curve is upward sloping, and the prices are referred to as being in contango. Contango occurs when there is little or no convenience yield. 2-6 Q-3. When an investor hold the underlying asset of a future contract and concern about the backwardation in the future market, she will most likely: A. Sell forward. B. Buy forward. C. Sell the asset. Solution: A. A holder of an underlying asset will suffer from decreasing prices, thus he should sell a forward to lock his price at future price. Thus at expiration the payoff of the investor will be: Cash received from selling asset: St Exercise forward contract: -(S -F ) t t Payoff at expiration: S - (S -F ) = F t t t t 3-6 Q-4. United Capital is a hedge fund with $250 million of initial capital. United Capital charges a 2% management fee based on assets under management at year end, and a 20% incentive fee based on returns in excess of an 8% hurdle rate. After one year operation, the fund appreciated 16%. Assum